Explainable artificial intelligence modeling to forecast bitcoin prices
John W Goodell,
Sami Ben Jabeur (),
Foued Saadaoui and
Muhammad Ali Nasir
Additional contact information
Sami Ben Jabeur: UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University)
Post-Print from HAL
Abstract:
Forecasting cryptocurrency behaviour is an increasingly important issue for investors. However, proposed analytical approaches typically suffer from a lack of explanatory power. In response, we propose for cryptocurrency pricing an explainable artificial intelligence (XAI) framework, including a new feature selection method integrated with a game-theory-based SHapley Additive exPlanations approach and an explainable forecasting framework. This new approach, extendable to other uses, improves both forecasting and model generalizability and interpretability. We demonstrate that XAI modeling is capable of predicting cryptocurrency prices during the recent cryptocurrency downturn identified as associated in part with the Russian-Ukraine war. Modeling reveals the critical inflection points of the daily financial and macroeconomic determinants of the transitions between low and high daily prices. We contribute to financial operating systems research and practice by introducing XAI techniques to enhance the transparency and interpretability of machine learning applications and to support various decision-making processes.
Keywords: Decision support systems; Explainable artificial intelligence; SHAP value; Feature selection; Cryptocurrency prices; Systèmes d'aide à la décision; intelligence artificielle explicable; valeur SHAP; sélection des caractéristiques; prix des crypto-monnaies (search for similar items in EconPapers)
Date: 2023-07
References: Add references at CitEc
Citations:
Published in International Review of Financial Analysis, 2023, 88, pp.102702. ⟨10.1016/j.irfa.2023.102702⟩
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05148944
DOI: 10.1016/j.irfa.2023.102702
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().